Optimal reinsurance and investment with a common shock and a random exit time

DOI10.1051/RO/2023036MaRDI QIDQ6041244

Zhiping Chen, Unnamed Author, Peng Yang

Publication date: 26 May 2023

Published in: RAIRO - Operations Research (Search for Journal in Brave)

zbMATH Keywords

investmentreinsurancemean-variance criterioncommon shockmarket interdependencerandom exit time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

Related Items (1)

Equilibrium investment-reinsurance strategy under information asymmetry and random horizon

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